Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258588 
Year of Publication: 
2021
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 14 [Issue:] 10 [Article No.:] 484 [Publisher:] MDPI [Place:] Basel [Year:] 2021 [Pages:] 1-17
Publisher: 
MDPI, Basel
Abstract: 
This paper aims to contribute to the existing literature in portfolio management and strategy by investigating the performance, diversification, and hedging benefits arising from integrating Sharia-compliant stocks into a conventional portfolio. Thus, this paper tests the performance of a Combined Portfolio, resulting from the combination of conventional Islamic instruments, covering different macroeconomic scenarios in the last decade (2010-2020). The strategic asset allocation was designed following the Global Macro Anima (GMA) strategy, solving a risk-parity optimisation problem using a specifically developed MATLAB™ algorithm. The findings will contribute to answering the question related to the possibility of including alternative instruments to increase diversification with hedging benefits by building asset allocations that perform well across different macroeconomic scenarios.
Subjects: 
asset allocation
portfolio management
risk parity
Islamic equities
macroeconomic conditions
JEL: 
G11
G15
G17
G19
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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